Nouvelles Bornes De Stabilité Dans Les Modèles De Risque : Approche Par Processus Régénératif

Résumé: In the literature, the risk models recently studied are becoming increasingly complex. Therefore, it is rare to find explicit analytical relations to calculate the ruin probabilities. In this work, we are interested to the strong stability approach of the two dimensional classical risk model with large claims. In the application of the quantitative aspect of the strong stability method in the considered model and in order to deduce a bound stability of the deviation of ruin probabilities, we will use the regenerative processes theory.

Publié dans la revue: Séminaire Mathématique de Béjaia